RTS 27: Best Execution

MiFID II defines a requirement for trading venues to provide best execution
reports, free of charge and downloadable in a machine readable format. The
readability and accessibility of these reports is key, given the intended
audience of the public. Cboe intends to provide reports in CSV format and
will make specification documents available ahead of implementation. The
first reports are not required to be published until Q2 2018, but Cboe may
choose to make them available ahead of this time.

Some reports require data on an intraday basis, with reference to a
specific point in time. Cboe does not believe these times to refer to
elements that might be regarded as reportable events, as defined in
RTS 25 on Clock Synchronisation.
However, it is noted that in order to
produce the data required in the reports, Cboe will likely rely upon
data recorded at a level of granularity and variance in accordance with
the Clock Synchronisation requirements.

Cboe is required to produce the following series of reports, generally
repeated for each segment MIC operated:

General Information

Trading Interruptions

Information about any outages, auctions or failed transactions
experienced by financial instruments available to trade on Cboe.

Instrument Reference Data

Generic reference data on financial instruments available to trade on
Cboe. It is noted that Cboe already provides reference data for
customers (see details within our
Reference Data section) and will be
taking steps to make the reference data available on a historical
basis. Notwithstanding this, a separate report in the format required
will be made available for Best Execution purposes.

Price

Intra-day

A report that looks at average prices and total values transacted in
financial instruments for the two minutes after four specific points in
time in the trading day. When no transactions occur in this period, the
data will reflect the next following transactions. These reference
times are defined in UTC, so vary at their point in time of the trading
day and with reference to market events (like the US market open)
throughout the year as daylight savings change local times throughout
the world. Consumers seeking to make decisions off the back of these
reports should accommodate such variance.

Daily

A report that details high, low and average prices achieved in financial
instruments over the course of the trading day.

Costs

A report that collates fees, rebates, discounts, taxes and other
payments associated with a financial security. These fees are only
expressed where the trading venue has sight of such fee and can
reasonably include it. For example, Cboe operates a competitive third party clearing model
and therefore does not have sight into any caps or
tiers a Participant may be eligible for and accordingly, will not
include detail on clearing costs or charges.

Likelihood of Execution

A report that provides information about the activity of financial
securities, which is intended to help investors determine the
likelihood of achieving execution within that market. It provides
details upon the number of orders entered, modified or cancelled;
number, value and median size of transactions executed; median size of
orders entered and the number of registered market makers. Cboe
provides details on market maker registrations, should that be of
interest, from our Liquidity Provider page.

Book Analytics

Detail about the best prices and depth of the order book for financial
securities available to trade on Cboe at four specific points in time
during the trading day. These reference times are defined in UTC, so
vary at their point in time of the trading day and with reference to
market events (like the US market open) throughout the year as daylight
savings changes local times throughout the world. Consumers seeking to
make decisions in reliance of these reports should accommodate such
variance.

Spread Analytics

This report provides detail about spreads (both effective and inside);
depth (both for three ticks
and at the inside); order modifications
and cancellations at the touch; average execution times at the touch;
performance of IOC or FOK orders; utilisation of the various
pre-trade transparency waivers; and details about
trading interruptions or suspensions that may have occurred
in financial securities available to trade on Cboe.